Il baigne dans le cinéma depuis sa plus tendre enfance puisque son père, Stephen Gyllenhaal, est un réalisateur et sa mère, Naomi Foner Gyllenhaal, est scénariste (nommée aux Oscars en 1989). Sa sœur, Maggie, est également une actrice reconnue qui joue à ses côtés dans Donnie Darko et dans A Dangerous Woman. Sa marraine n’est autre que Jamie Lee Curtis.
Gyllenhaal was born in Los Angeles, California, the son of film director Stephen Gyllenhaal and film producer and screenwriter Naomi Foner (née Achs.Maggie Gyllenhaal, his sister, is also an actress, and played his sister in the movie Donnie Darko. Gyllenhaal's father was raised in the Swedenborgian religion and is a descendant of the Swedish noble Gyllenhaal family. His last native Swedish ancestor was his great-great-grandfather, Anders Leonard Gyllenhaal.Gyllenhaal's mother is from a Jewish family from New York City. Gyllenhaal's Bar Mitzvah celebration took place at a homeless shelter because his parents wanted to instill in him a sense of gratitude for his privileged lifestyle.Gyllenhaal has said that he considers himself "more Jewish than anything else".Gyllenhaal's parents insisted that he have summer jobs to support himself. He worked as a lifeguard, and as a busboy at a restaurant operated by a family friend.